The efficiency of emerging stock markets: empirical evidence from the South Asian region

Full text for this resource is not available from the Research Repository.

Cooray, Arusha and Wickremasinghe, Guneratne B (2007) The efficiency of emerging stock markets: empirical evidence from the South Asian region. Journal of Developing Areas, 41 (1). pp. 171-183. ISSN 0022-037X


This paper examines the efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh. The Augmented Dickey Fuller (ADF-1979, 1981), the Phillips-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS-1996) and Elliot-Rothenberg-Stock (ERS – 1996) tests are used to examine weak form stock market efficiency. Weak form efficiency is supported by the classical unit root tests. However, it is not strongly supported for Bangladesh under the DF-GLS and ERS tests. Cointegration and Granger causality tests are used to examine semi-strong form efficiency. Semi-strong form efficiency is not supported as these tests indicate a high degree of interdependence among the South Asian stock markets. The above results have implications for domestic as well as foreign investors in South Asian stock markets.

Dimensions Badge

Altmetric Badge

Item type Article
DOI 10.1353/jda.2008.0030
Subjects Historical > Faculty/School/Research Centre/Department > School of Accounting
Historical > SEO Classification > 9104 Management and Productivity
Historical > FOR Classification > 1502 Banking, Finance and Investment
Keywords ResPubID13900, South Asia, India, Sri Lanka, Pakistan, Bangladesh, unit root tests, stock markets, market efficiency, impulse response analysis
Download/View statistics View download statistics for this item

Search Google Scholar

Repository staff login